Volume Splitter

[Tasuki 10]

I'm not sure how many screenshots you folks would like to see. I've got dozens from my weeklong trial with EOTPro.

I'll start with a comparison of two five minute charts of the ES, one showing the EOT's vol splitter (which started this thread), and comparing it to the Blowfish Vol Splitter #4 (this thread, permalink $162, page 16).

Tasuki

 

Bruce/Cooper et al,

The code for the Blowfish Vol Splitter #4 is shown in permalink #162, on p. 16 of this thread. The quote, above, was from my first post in this series---I just realized now that I had a typo--that should have been #162, not dollar sign 162--oops.

 

In order to turn this indicator into a bar (it's not actually a histogram), go to Format Indicator, Style, then assign DO as "left tic", DH as "bar high", DL as "bar low" and DC as "right tic."

 

Tasuki

[pimind 10]

daedalus,

try to increase the days back in the symbol format. It works fine on my ts.

[daedalus 10]

daedalus,

try to increase the days back in the symbol format. It works fine on my ts.

 

Yup that did it... first chart only had like 1 day of data. Thanks!

[pimind 10]

Here are some charts with the eot volsplit running withthe stochrsi. It doesn't really track the same. They are both based on price to some extent (what price large buyers will buy or sell) so sometimes it does seem that they are going in the same direction but my guess is that if you take other ocillators you will get similar tracking. I was tracking 50 lots I will post charts with 100 for tuesday.

 

It's important to look at the nuances of the differences because after all it all breaks down to whether the trade is profitable or not.

 

I have now used these indicators for almost 1 month and it has improved my trading. Besides the volsplit they also have some other great indicators. I think that it is worth what they charge. It is not the holy grail but it does provide confidence in trading. Compared to other indicators packages out there they offer a good value, I personally hate paying , but when it works it works.

 

As to trying to replicate this I would suggest looking outside the box. They obviously are using something that is not easy or transparent otherwise it would have been replicated by now.

 

[yuvalw 10]

Here are some charts with the eot volsplit running withthe stochrsi. It doesn't really track the same. They are both based on price to some extent (what price large buyers will buy or sell) so sometimes it does seem that they are going in the same direction but my guess is that if you take other ocillators you will get similar tracking. I was tracking 50 lots I will post charts with 100 for tuesday.

 

It's important to look at the nuances of the differences because after all it all breaks down to whether the trade is profitable or not.

 

I have now used these indicators for almost 1 month and it has improved my trading. Besides the volsplit they also have some other great indicators. I think that it is worth what they charge. It is not the holy grail but it does provide confidence in trading. Compared to other indicators packages out there they offer a good value, I personally hate paying , but when it works it works.

 

What was your trading strategy before using EOT and what is your trading strategy now? From what I see the StochRSI gives you more entry options to the main trend than what the VolSplitter gives. Most important I don't see how the EOT VolSplitter is a leading indicator.

[pimind 10]

I was using various strategies and I had tried various systems . I was like any new trader jumping around from this to that. The indicators I mainkly use at EOT are something they call bonnie's bars. They are on the pics above coloring the bars red and green. I don't really use the vol splitter as a main focus but I make sure that I am trading in the direction of the big traders, I track them on several time frames. I also use thier cycle moving average and allas's average, they also have several other indicators that i look at. Along with that I have some basic indicators that I like use.

 

I can't really put my finger on what changed, except I have the confidence to execute the trade and using there high level chop I have been able to stay out of some choppy trades.

 

The main thing I guess is confidence, everyone is different when it comes to trading what works for one person may not work for another. I'm convinced if the holy grail existed there are those that still would not follow the signals.

 

So the change for me is confidence and if it cost me $233 per month then i'm glad to pay it.

 

I think i mentioned before that i would pay that much for a simple 2 moving average indicator if it gave me confidence. Anyway that's my opinion for what its worth , go with whatever works for you and gives you the confidence to trade with.

[pimind 10]

Here is the chart for the rest of the day. Again it does track similar at times.

 

[yuvalw 10]

Pimind, I agree, if it's working for you it worths it!

[Tasuki 10]

Two interesting charts to post today.

Both charts are @ES, the first is 144 tick, the second is 7777 volume.

For these charts, I created 6 copies of the Blowfish#4 Vol Splitter indicator, then I assigned each copy to a different group of traders, as follows:

 

red: 1-5 contracts

yellow: 6-49 contracts

green: 50-99 contracts

cyan: 100-199 contracts

blue: 200-299 contracts

magenta: 300-9999 contracts

 

For the 144 tick chart, notice that all classes of traders are going up---every monkey and his uncle is buying. I've noticed this before---when you get multiple types of traders all buying at the same time, for heaven's sake don't go the other way!

 

For the 7777 volume chart, it looks like a very colorful mess, but if you take the time to follow the colors, you can learn stuff. Notice first that the magenta line, the biggest traders, wer pretty consistently buying throughout this portion of the afternoon (I only created this chart after 11:30 AM Pacific time). There are other lessons to be learned from studying this chart, but I'll let you suss them out yourself.

 

Tasuki

[phall 10]

I'm not sure how many screenshots you folks would like to see. I've got dozens from my weeklong trial with EOTPro.

I'll start with a comparison of two five minute charts of the ES, one showing the EOT's vol splitter (which started this thread), and comparing it to the Blowfish Vol Splitter #4 (this thread, permalink $162, page 16).

 

 

The first chart is a Snagit capture of EOT's live chart from this past Tuesday (June 2) at about 9:40 AM, California time. The EOTVolumeSplitter only shows the actions of the big (>100 lot) traders.

The second chart is a Snagit capture of my Tradestation chart from the same time. I've put the Blowfish Vol Splitter #4 on the chart three times, one for big trades (in blue, over price), one for medium size trades (magenta, subgraph 2) and one for small traders (yellow, subgraph 2).

 

The EOT vol splitter does seem to have some advantages. Despite the fact that it is smoothed (the smoothing factor, I was told, was "6" on this chart), it seem to lead the market sometimes. It also gives occasional divergences that often work out (but not always, as I observed).

 

However, the Blowfish Vol splitter also has useful features. As I point out in the text on the chart, the indicator doesn't seem to like double bottoms. While price is making a double bottom, the blue (big trade) version of the indicator keeps going down until the double bottom has completed. As it is completing, the indicator frequently seems to consolidate with small range bars, then break out of its consolidation with a strong bar up (for bullish moves). This seems to signal a reversal in trend in the price.

 

One may also notice that, as price was generally going down on the righthand half of the chart, the big traders were generally going south as well, while the small and medium sized traders were still buying as the price went down.

 

Anyway, I hope this is helpful to someone. I've got more charts I could post, but these were my two best.

 

Tasuki

 

 

Thanks a million for all the posts with the EOT version of the Splitter.

 

Does anyone have a chart that shows the EOTVolSplit, the Blowfish4 and the volume per bar all on the SAME chart?

 

I have been thinking that the difference between the two is that a correction is applied to the Blowfish "Net Difference Counter" methodology based on the total volume traded in the bar.

 

For example if the net change for the 100+ Contract group is 1000 contracts during a bar (which would be the real body of the Blowfish indicator) that traded 3000 contracts, that is alot different than a change of 1000 contracts when 10000 contracts were traded.

 

In other words, the net change as a percent of the total volume traded might be what's important.

 

i think if we could get a set of data as described above, we could pull it apart and see what the correction might be.

 

Just my two cents

 

Phall

[pimind 10]

I can run that today. But if you look at the charts i posted the volume per bar are approx 4181.

[AgeKay 10]

For example if the net change for the 100+ Contract group is 1000 contracts during a bar (which would be the real body of the Blowfish indicator) that traded 3000 contracts, that is alot different than a change of 1000 contracts when 10000 contracts were traded.

 

In other words, the net change as a percent of the total volume traded might be what's important.

 

Right on. I am suprised that it took so long for some one to notice it. I have something like this on my charts.

[Tasuki 10]

Thanks a million for all the posts with the EOT version of the Splitter.

 

Does anyone have a chart that shows the EOTVolSplit, the Blowfish4 and the volume per bar all on the SAME chart?

 

Phall

 

Unfortunately, my trial with EOT is over, and I doubt they're going to give me a second week. Can anyone else help us out here?

 

I really think Phall's got the right idea.

 

Tasuki

[BlowFish 10]

Another alternative to normalisation (which is what switching to a % based scaling does) is to use constant volume charts this has a similar effect to normalising. Just depends what you want to see - all the pros and cons that people use for bounded and unbounded oscillators could be used here.

 

There is also an argument that if in any period 20,000 contracts are traded at bid and 15,000 are traded at ask that conveys something different to trading 400 at bid and 300 at ask. It might be argued the latter case is insignificant. Of course if you have a plain volume study on your chart you might not worry about absolutes.

 

The last indicator I posted is all about absolute values though divergences and stuff still 'work'. The first was a more regular oscillator. I had specific things in mind when I produced them, the main one was to demonstrate concepts that might help people. Emulating the commercial ones at post 1 was not on the list. I still think people are getting somewhat seduced by the vendors gltitzy claims. If they where as half as good as those and even if they cost 10 times the price it would still be a no brainer to lease them right? Of course whilst I am sure they are quite credible we all know they are not.

 

Getting back on track, we know what the core data and concepts are. All that 'it' (the secret sauce) can be is post processing - filtering, smoothing normalising etc. Fiddle with that until it all looks 'pretty'.

[phall 10]

Thanks Blowfish;

 

i agree that the share bar charts would take care of it and that this is all about the back end processing. I have spent a little time looking at the normalisation; it does help but i found that the 100+ crowd pretty consistently has 40-50% of the volume so it doesn't change that much. I still have to watch during high vol. turn situations to see if the ratio changes, in which case it might make a big difference.

 

what is your guess of the Oscillator approach the EOT guys use? It looks alot like a super smoothed MACD since the higher lows/higher highs (ROC) appear pretty often. what has me stumped is the reduction in lag that they've got....

 

p

[BlowFish 10]

To be honest I haven't had a real close look at the EOT stuff :embarassed: Maybe one of these I'll take the trial. Hopefully NT 7.0 will allow this sort of stuff to work on historical data maybe then I'l pursue this type of indicator more seriously. If you can look at say 5 years of data page by page you can pretty quickly see if something has merit and fine tune it until it does or the concept falls apart. Being limited to live testing makes things kind of hard work!

[pimind 10]

Here is a chart for today.

 

Indicators:

 

Volsplitter 100+

Bid/Ask Volume

Stochrsi

 

Blowfish 100+

blowfish 1-10

smooth of 6 on the 100+

volume

[pimind 10]

Here is a Time and sales from between 3:30-3:32 and a close up of the chart i posted. If this is helpful I can post more T&S.

 

 

There where: 4730 at bid 18 Avg 262, 3473 at ask 12 avg 289.

 

I know this is a extremely small sample if it can even be called that , but even though the vol was down , more sellers the avg was less and the price remained the same. The volsplitter showed down so I assume it tracks the difference it was white which is the highest intensity.

 

Hope some of this helps.

[pimind 10]

I also wanted to point everyone to a blog i follow. emini-watch.com , There is a free indicator called better volume which attempts to show what the professionals are doing. I have found this site to be very informative and I am hoping the author will divulge more info.

 

Anyway he says you can figure out what the professionals are doing by analyzing the volume at the bid and ask, the high to low range of the bar, and the average trade size. The code is open and might shed some light.

[flyingdutchmen 10]

this "better-volume" indicator from emini-watch is widely discussed in this forum;

 

any particulair reason why you post an image of t&s, it should show not

more then the volume splitter does without filtering the number of contracts

[pimind 10]

Just to show the intensity in relation to the actual trades that happened.

[RichardTodd 10]

Hopefully NT 7.0 will allow this sort of stuff to work on historical data maybe then I'l pursue this type of indicator more seriously.

 

You can test things via replay if you have the data (just drag the slider over to the end of the day and let ninja crunch the numbers). It's not as convenient as history, but it does seem to work ok to look over lots of days when I'm trying out a change to our realtime indicators.

[cooper59 10]

Woops way to completely balls up :crap: I only changed a couple of lines and managed to get an additional end statement and undefined variable (block) as you guys pointed out. It's got to the stage where it needs a tidy up (as well as comments) but this should at least run

 

inputs: 
UpColor(darkgreen), 
DownColor(red), 
DeltaBar(1), 
MaxBlock(9999),
MinBlock(0),
ResetDeltaEachBar(0); 

variables: 
MyVol(0), 
Block(0),
color(yellow), 
intrabarpersist MyCurrentBar(0), 
intrabarpersist VolumeAtBid(0), 
intrabarpersist VolumeAtAsk(0), 
intrabarpersist BAVolRatio(0), 
intrabarpersist VolTmp(0), 
intrabarpersist Delta (0), 
intrabarpersist DeltaH (0), 
intrabarpersist DeltaL (0), 
intrabarpersist DeltaO (0); 

if LastBarOnChart then begin 
  	MyVol = Iff(BarType < 2, Ticks, Volume); 
if CurrentBar > MyCurrentBar then begin 
	VolumeAtBid = 0; 
	VolumeAtAsk = 0; 
	BAVolRatio = 0; 
	VolTmp = 0; 
	MyCurrentBar = CurrentBar; 
	if ResetDeltaEachbar = 1 then Delta =0;
	DeltaO = Delta; 
	DeltaH = Delta; 
	DeltaL = Delta; 
end; 
Block = Myvol - VolTmp;
if (Block >= MinBlock) and (Block <= MaxBlock) then
	if Close <= InsideBid then
		Delta  = Delta - MyVol + VolTmp
	else if Close >= InsideAsk then 
		Delta = Delta + MyVol - VolTmp ;  
	VolTmp = MyVol ;
end; 


DeltaH = maxlist(DeltaH, Delta); 
DeltaL = minlist(DeltaL, Delta); 


if Delta <= 0 then color = DownColor else color = UpColor; 

plot1(DeltaO, "DO"); 
Plot2(DeltaH, "DH"); 
Plot3(DeltaL, "DL"); 
plot4(Delta, "DC");	 

 

 

PLEASE, PLEASE, PLEASE. I will owe you a huge favor (whoever can help). I am just learning easy Language and cannot get this into a Tradestation ELD. Can someone please help? I would be happy to make a donation to the forum.

Until today I thought Iwas using #4 but Tasuki pointed out that this is the "Blowfish #4 model". This is one of the finest indicators I have found especially being a price action person. I will be eternally grateful if someone can put this in a ELD Form for Tradestation. Thank you in advance and sorry for the hassle.

[thrunner 10]

It takes too long to explain that this is as useless as any other indicators out there. You should just read the thread below:

 

TS SUPPORT :: View topic - Why I don't trust "IntraBarPersist"

 

What you are seeing may or may not be real, depending on your system, your charts, your isp, your indicators, your trading account size .... (well, may be not the last one).

 

To me intrabarpersist: close=bid, close=ask is just black magic that changes depending on what chart you are using. Even if two charts are set up identical! I think people are deceiving themselves if they use things they do not understand and just take for granted. Besides, there are software packages that are dedicated to exactly this one thing: order flow (futuresScalper, OrderFlowAnalytics, MarketDelta among others). If I was really that dissatisfied with what I use I would probably go to someone who specializes in the thing I was interested in and has a proven track record.

 

I don't think I should jump through hoops to get it to work right (not to mention, to even understand it. No GV or DLLs or ADE. I am too old and cranky. I would rather believe intrabarpersist: if upticks>upticks[1] then...etc

At least upticks and downticks are consistant.

 

I was following a thread on TradersLaboratory called "Volume Splitter" and you would think people had discovered the holy grail and were trying to reverse engineer an indicator that EOTPro uses (and seems to have gotten right). I even chuckled when Richard Todd, who I totally respect (yea, doth envy his mathematical prowess), could not hold back anymore and tried to help out. Here was the original author of the EOT indicator and even he wasn't able to change the direction of the discussion. I stopped following it because I was just too frustrated.

I don't use intrabar anything in my trading. And I am a happier man for it. (although it probably doesn't sound like it )

 

As to the post just above regarding Tradestation ELD from code, if you are unsure how to copy and verify posted code, please see this tutorial:

https://www.tradestation.com/discussions/Topic.aspx?Topic_ID=84271#417950

[BlowFish 10]

I also wanted to point everyone to a blog i follow. emini-watch.com , There is a free indicator called better volume which attempts to show what the professionals are doing. I have found this site to be very informative and I am hoping the author will divulge more info.

 

Anyway he says you can figure out what the professionals are doing by analyzing the volume at the bid and ask, the high to low range of the bar, and the average trade size. The code is open and might shed some light.

 

I like e-mini watch too. There is another thread here where people have talked about the code a bit. Better volume is kind of VSA meets Chaikin Moneyflow.